For protection or profit – using derivatives in a changing financial landscape

08.30 Registration and refreshments

08.55 Chairman’s opening remarks
Nick Sawyer, Editor, RISK MAGAZINE

09.00 The priorities for reform in the aftermath of the crisis: Better macro-economic management or better regulation?

• How did macro-economic mismanagement contribute to systemic breakdown of 2007-08?
• What were the monetary and fiscal mistakes that created the crisis?
• In the absence of these macro errors, would there have been a crisis?
• Can regulation solve macro-economic problems?
• If regulatory failure did not cause the crisis, why tighten regulation of derivatives, hedge funds, etc?

John Greenwood, Chief Economist, INVESCO

09.40 European Commissions viewpoint on the European derivatives market

- Assessing progress made towards central clearing of credit default swaps in Europe
- Should CCPs be introduced for other OTC derivatives as well?

Sebastijan Hrovatin, Financial Market Infrastructure Unit, EUROPEAN COMMISSION

10.20 Central counterparty (CCP) in OTC CDS – mitigating counterparty risk in Credit Default Swaps

• Benefits of centrally cleared derivatives.
• Novating OTC CDS to a central counterparty

Byron Baldwin, Senior Vice President, OTC Clearing, EUREX

11.00 Morning break

11.20 Leveraging central services for OTC derivative portfolio risk mitigation

- Transforming OTC derivative portfolio reconciliation
- Reviewing the benefits and opportunities of moving from in-house to central service
- Streamlining the communication with your counterparty
- Interoperating with other parts of the infrastructure eg DTCC TIW
- Assessing potential future developments

Per Sjoberg, Executive Vice President, TRIOPTIMA

12.00 Panel: Effectively analyzing risk within a portfolio – is VAR enough?

- Lessons learned from the underlying assumptions pre-Lehman
- VaR – are the number and the process enough?
- What about Models? Implicit vs. Explicit vs. Hybrid
- The importance of stress testing and true liquidity risk management

Moderator: Larry Tint, Chief Executive Officer, QUANTAL INTERNATIONAL (former Vice-Chairman, BARCLAYS GLOBAL INVESTORS)
Bernd Scherer, Honorary Visiting Professor, BIRKBECK COLLEGE
Malcolm Kemp, Executive Director, Head of Quantitative Research, THREADNEEDLE ASSET MANAGEMENT
Daniel Wallick, Principal, Investment Strategy Group, VANGUARD

13.00 Lunch

14.00 The usage of derivatives in efficient portfolio construction
- Derivative as highly flexible tools to actively manage portfolio risk
- Hidden risks in derivatives: removing the frontier between first and second order effects
- Operational challenges in meeting the efficient portfolio management objectives
- Value added of derivatives in market turmoil and "flight to basics" instinct

Ali Chabaane, Head of Portfolio Construction, PIONEER INVESTMENTS

14.40 Applying the Black & Litterman model for stress testing analysis

• Introduction to the Black & Litterman model
• The Black & Litterman model adapted for stress testing analysis
• Examples of stress testing
• Using mixture distribution for factors
• Empirical results

Domenico Mignacca, Head of Risk Management, EURIZON CAPITAL

15.20 Afternoon break

15.50 Global Tactical Asset Allocation (GTAA) portfolio construction in the current environment

- Managing cross-asset class risk
- Volatility of correlations and correlations of volatility (return and risk)
- Effective diversification versus perceived diversification
- Using ETD versus OTC derivatives for managing risk (esp. FX)
- Modern approaches to portfolio optimisation harnessing volatility of correlations
- Applications for large institutions as well as smaller family offices (GTAA affects everyone)

Gulamabbas Lakha, CEO & Chief Investment Officer, PROVIDENTIA CAPITAL

16.30 Panel: The future for derivatives

- Where will investor appetite lie as the economic slowdown plays out?
- Overreaction? Are we throwing the baby out with the bathwater?
- Emerging markets in derivatives
- New derivative classes: weather, etc

Moderator: Nick Sawyer, Editor, RISK MAGAZINE
Malcolm Kemp, Executive Director, Head of Quantitative Research, THREADNEEDLE ASSET MANAGEMENT
Sebastijan Hrovatin, Financial Market Infrastructure Unit, EUROPEAN COMMISSION
Domenico Mignacca, Head of Risk Management, EURIZON CAPITAL

17.20 Chairman’s closing remarks

17.30 Cocktail reception & Risk magazine's End-User rankings